Run 'setup.exe' and install the 'openssh' package. Then read the
readme in '/usr/share/doc/Cygwin' and run 'ssh-host-config'. This
will create '/etc/sshd_config'. Cygwin doesn't have a 'ssh' directory.

Thanks, Larry, for the correction to my full pathname...
I was ignorant about ssh-host-config. That did the trick (after
satisfying file perms and such).

Yes it and 'ssh-user-config' are a very big help. :-)

What is the best tool for reading /usr/share/doc/Cygwin? emacs?
Is that doc exactly like the one on the web site, or more current?